Workshop view

Long Term Portfolio Simulation for CVA, Funding, Limits, and Capital

Improved Pricing Structure for The New Financial Year 2015/16: All Video Workshops £99.00

Watch the above video for the Workshop Introduction. An additional five-minute sample of this workshop is available here.

Each Quants Hub Workshop package includes the full day recorded video that when purchased will be stored in the "My Library" section of your members area to be viewed indefinitely. You will also receive the workshop slides and other related material if applicable.

The workshop will focus on the specifics of constructing and calibrating models for CVA/PFE which must simulate the evolution of a large number of risk factors for long time horizons and with incomplete calibration data. Both risk neutral and real world measure models will be covered with specific focus on avoiding extreme or unrealistic values of risk factors for long time horizons and dealing with incomplete or short dated calibration data.

Methodology Fundamentals

Introduction and Objectives

Real World or Risk Neutral?

Dealing with Long Simulation Horizons

Dealing with Heavily Multifactor Simulation

Margin Period of Risk (MPR)

General Wrong Way Risk (WWR)

Systemic Wrong Way Risk

Generic Rate and Asset Factors

Model Construction Techniques

Incremental Correlation

Bridge Correlation

Historical Correlation

Model Extension

Fast Valuation Techniques

Linear Trades

American Monte Carlo

Models

Popular Interest Rate Models

Popular Default Intensity Models

Popular FX and Asset Price Models

Risk Neutral Portfolio Model

Real World Portfolio Model

General Wrong Way Risk Model

Margin Period of Risk Model

Systemic Wrong Way Risk Model

Minimum Transfer Amount Model

Topic

Monte Carlo

Published date

7 March 2014

Price

£99.00

Presenter Bio

Alexander Sokol

Alexander Sokol is CEO and Head of Quant Research at CompatibL and the author of the upcoming book “Long Term Portfolio Simulation”, to be published by Risk Books in 2014.